Some results on the CTE-based capital allocation rule

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• 作者：J. Dhaene ; L. Henrard ; Z. L ; sman ; A. V ; endorpe ; S. V ; uffel
• 关键词：Torsional flow ; Viscoelastic ; Transducer compliance
• 刊名：Insurance: Mathematics and Economics
• 出版年：2008
• 出版时间：April 2008
• 年：2008
• 卷：42
• 期：2
• 页码：855-863
• 全文大小：349 K

文摘

Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation (CTE) of the aggregate risk. Panjer [Panjer, H.H., 2002. Measurement of risk, solvency requirements and allocation of capital within financial conglomerates. Institute of Insurance and Pension Research, University of Waterloo, Research Report 01–15] derives a closed-form expression for this allocation rule in the multivariate normal case. Landsman and Valdez [Landsman, Z., Valdez, E., 2002. Tail conditional expectations for elliptical distributions. North American Actuarial J. 7 (4)] generalize Panjer’s result to the class of multivariate elliptical distributions.